October Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker October ADV YTD ADV* Open Interest
Total     3,376,203 3,513,841 8,973,862
S&P 500     2,299,404 2,521,719 7,757,141
Futures     1,636,125 1,882,883 3,120,956
E-mini ES ESA Index 1,316,180 1,560,774 2,714,778
Micro E-mini MES HWA Index 280,990 279,813 31,381
Standard SP SPA Index 1,525 2,588 38,921
BTIC EST STEA Index 33,871 35,978 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,708 1,251 109,786
Total Return Futures TRI, CTR SRTA, CTIA Index 1,696 2,267 226,090
TACO ESQ TQA Index 154 211 -
Options     663,280 638,836 4,636,185
E-mini     633,811 606,616 4,410,569
End-Of-Month EW SCA Index 82,042 92,786 506,722
Quarterlies ES ESA Index 133,031 155,658 2,813,201
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 418,738 358,172 1,090,646
Standard     29,468 32,221 225,616
End-Of-Month EV EVA Index 3,291 5,532 53,967
Flex XP, YP   250 276 15,568
Quarterlies SP SPA Index 1,786 3,144 61,112
Weekly (M, W, F) EV1 - EV4 1DA-4DA 24,142 23,269 94,969
NASDAQ     628,573 686,687 305,087
Futures     619,661 676,738 241,517
E-mini NQ NQA Index 409,416 471,990 225,158
Micro E-mini MNQ HWB Index 207,688 202,131 16,359
BTIC NQT QNTA Index 2,556 2,616 -
Options     8,913 9,949 63,570
E-mini     8,913 9,949 63,570
DOW JONES     223,003 260,553 99,307
Futures     222,877 260,352 95,545
E-mini YM DMA Index 169,973 208,185 77,286
Micro E-mini MYM HWI Index 52,246 51,393 16,359
BTIC YMT YMTA Index 658 685 -
Options     127 201 3,762
E-mini     127 201 3,762
Russell 2000     154,850 181,082 484,632
Futures     151,663 178,650 453,973
E-mini RTY RTYA Index 116,216 145,267 434,342
Micro E-mini M2K HWR Index 33,283 31,482 19,631
BTIC RLT RLBA Index 2,164 1,900 -
Options     3,187 2,433 25,948
E-mini     3,187 2,433 25,948
S&P 400 - MIDCAP     12,111 16,054 66,300
Futures     12,111 16,054 66,300
E-mini ME FAA Index 12,111 16,054 66,300
INTERNATIONAL     47,743 37,501 96,883
Futures     47,743 37,501 96,883
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 46,744 37,199 96,479
Nifty 50 MNF MNCA Index - 258 -
Ibovespa IBV IBAA Index 43 33 130
TOPIX TPY TPYA Index 956 11 274
SECTORS     7,516 11,109 141,270
Futures     7,516 11,109 141,270
Comm. Srvcs. XAZ XASA Index 55 305 6,054
Cons. Discr. XAY IXYA Index 264 418 3,494
Cons. Staples XAP IXRA Index 521 946 14,649
Energy XAE IXPA Index 645 867 13,621
Financial XAF IXAA Index 876 1,577 30,367
Health Care XAV IXCA Index 540 968 7,197
Industrial XAI IXIA Index 452 625 7,253
Materials XAB IXDA Index 620 505 6,546
Real Estate XAR XARA Index 665 296 2,950
Technology XAK IXTA Index 517 732 6,630
Utilities XAU IXSA Index 659 1,495 16,542
Dow Jones Real Estate JR DJEA Index 1,741 2,370 25,875
Nasdaq Biotechnology BQ DBA Index 16 5 92
FTSE     92 124 58
Futures     92 124 58
FTSE China 50 FT5 FCYA Index - 35 -
FTSE 100 (GBP) FT1 FFEA Index - 38 -
FTSE 100 (USD) FTU FFIA Index - 47 -
FTSE Emerging EI OEIA Index 92 3 58
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     538 1,236 18,224
Futures     538 1,236 18,224
Russell 1000 RS1 RSYA Index 119 442 9,112
Russell 1000 Growth RSG RGYA Index 89 344 3,029
Russell 1000 Value RSV RVYA Index 330 450 6,083
Bitcoin     2,371 6,583 4,960
Futures     2,371 6,583 4,960
Standard BTC BTCA Curncy 2,371 6,583 4,960

*Through October 31, 2019

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.38 million contracts per day in October 2019, a 29% decrease versus October 2018.
  • Equity Index open interest averaged 8.18 million contracts per day for the month of October, a 12% decrease versus October 2018.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 33,871 contracts per day in October ($5.03B notional). Liquidity continues to be on-screen: 94% of BTIC on E-mini S&P 500 volume traded on Globex in October, above 2018 figures and considerably higher than 78% in 2017. For the month of October, BTIC represented 39% of the MOC activity between CME, NYSE and Nasdaq.
  • Introducing BTIC+ and TACO+:

CME Group launched BTIC+ and TACO+ on E-mini S&P 500 futures on October 7, 2019.

BTIC+ and TACO+ are innovative new products listed for trading at CME that introduce T-plus (T+) trading to the futures market.  BTIC+ and TACO+ are futures contracts that allow market participants to execute a basis trade on E-mini S&P 500 futures relative to the official closing, or opening, S&P 500 cash index level for a given trading session, days in advance.

Please visit https://www.cmegroup.com/trading/equity-index/btic-transactions.html and https://www.cmegroup.com/trading/equity-index/trade-at-cash-open.html for more information.

  • Russell 2000: Futures monthly ADV was 118,381 contracts (-37% YOY) with an average open interest of 442,947 contracts. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options averaged 675K contracts per day in October. CME S&P options has represented 90% of the ETH S&P volume in 2019. CME completed its 17th successful equity options compression run in September, alleviating pressure on firms that are most affected by capital constraints imposed by Basel III.
  • Options on Bitcoin Futures: CME Group will launch Options on Bitcoin Futures on January 13, 2020 pending all regulatory approval. This is in direct response to customer demand following the successful Bitcoin Futures product launch. Market users have rapidly adopted Bitcoin futures since their December 2017 launch.  Key highlights of how this market has grown include:
    • Average daily volume of 6,500+ contracts in 2019, equivalent to about 32,500 bitcoin
    • 22 successful futures expiration settlements since launch
    • 3,500+ individual accounts trading
    • 47 percent of trading volume is from outside the U.S.
  • Total Return Futures: Adoption in S&P Total Return (SPTR) futures in 2019 continues to accelerate as dealers’ transition from OTC to listed. Activity is up 28% YoY with $325M notional ADV and outsized activity going into the month end. YTD ADV is ~2,267 contracts with open interest averaging 230,618 contracts ($33.22B notional) in 2019.
  • Micro E-mini Futures: On May 6th, CME Group launched Micro E-mini futures on our major indices. These are 1/10th the size of their E-mini counterparts for S&P 500, Nasdaq-100, Russell 2000 and Dow Jones.

    In the first 6 months since their launch, there has been strong customer adoption, making Micro E-mini futures the most successful product launch in CME Group history.
    • Micro E-mini futures trade 72M+ in 6 months
    • Average daily volume of over 560K
    • Single-day record volume of 1.46M on August 7, 2019
    • Individual contracts: 35.8M+ in S&P 500 (MES), 25.9M+ in Nasdaq-100 (MNQ), 6.6M+ in Dow (MYM), and 4.1M+ in Russell 2000 (M2K).
  Date Record Volume
MICRO E-MINI FUTURES - TOTAL 08/07/2019 1,406,663
MICRO E-MINI S&P 500 FUTURES (MES) 08/07/2019 766,135
MICRO E-MINI NASDAQ 100 FUTURES (MNQ) 08/15/2019 474,482
MICRO E-MINI DOW FUTURES (MYM) 08/01/2019 161,989
MICRO E-MINI RUSSELL 2000 FUTURES (M2K) 08/01/2019 90,483

 

For more information on the Micro E-mini futures, please visit:
https://www.cmegroup.com/cme-group-futures-exchange/micro-futures.html

Equity Index Products

Explore CME Group's suite of Equity Index products on U.S. and International Indices, Select Sectors, and Options on Futures.

Learn More

Read More Reports

Review previous months' equity reports over the last year.

View Archived Reports

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn